Correlation Between Citigroup and Oakmark Fund

Can any of the company-specific risk be diversified away by investing in both Citigroup and Oakmark Fund at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Citigroup and Oakmark Fund into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citigroup and Oakmark Fund Investor, you can compare the effects of market volatilities on Citigroup and Oakmark Fund and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Citigroup with a short position of Oakmark Fund. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Oakmark Fund.

Diversification Opportunities for Citigroup and Oakmark Fund

0.97

Correlation Coefficient

Citigroup  Oakmark Fund

Almost no diversification

The 3 months correlation between Citigroup and Oakmark is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Oakmark Fund Investor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Oakmark Fund Investor and Citigroup is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Citigroup are associated (or correlated) with Oakmark Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Oakmark Fund Investor has no effect on the direction of Citigroup i.e., Citigroup and Oakmark Fund go up and down completely randomly.

Pair Corralation between Citigroup and Oakmark Fund

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.37 times more return on investment than Oakmark Fund. However, Citigroup is 2.37 times more volatile than Oakmark Fund Investor. It trades about 0.13 of its potential returns per unit of risk. Oakmark Fund Investor is currently generating about 0.17 per unit of risk. If you would invest  6,092  in Citigroup on September 3, 2024 and sell it today you would earn a total of  995.00  from holding Citigroup or generate 16.33% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Oakmark Fund Investor

Citigroup

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Oakmark Fund Investor

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Oakmark Fund Investor are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak primary indicators, Oakmark Fund may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Citigroup and Oakmark Fund

The main advantage of trading using opposite Citigroup and Oakmark Fund positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Oakmark Fund can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Oakmark Fund will offset losses from the drop in Oakmark Fund's long position.

The idea behind Citigroup and Oakmark Fund Investor pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

Check out your portfolio center.

Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.